Package: NFCP 1.2.1
NFCP: N-Factor Commodity Pricing Through Term Structure Estimation
Commodity pricing models are (systems of) stochastic differential equations that are utilized for the valuation and hedging of commodity contingent claims (i.e. derivative products on the commodity) and other commodity related investments. Commodity pricing models that capture market dynamics are of great importance to commodity market participants in order to exercise sound investment and risk-management strategies. Parameters of commodity pricing models are estimated through maximum likelihood estimation, using available term structure futures data of a commodity. 'NFCP' (n-factor commodity pricing) provides a framework for the modeling, parameter estimation, probabilistic forecasting, option valuation and simulation of commodity prices through state space and Monte Carlo methods, risk-neutral valuation and Kalman filtering. 'NFCP' allows the commodity pricing model to consist of n correlated factors, with both random walk and mean-reverting elements. The n-factor commodity pricing model framework was first presented in the work of Cortazar and Naranjo (2006) <doi:10.1002/fut.20198>. Examples presented in 'NFCP' replicate the two-factor crude oil commodity pricing model presented in the prolific work of Schwartz and Smith (2000) <doi:10.1287/mnsc.46.7.893.12034> with the approximate term structure futures data applied within this study provided in the 'NFCP' package.
Authors:
NFCP_1.2.1.tar.gz
NFCP_1.2.1.zip(r-4.5)NFCP_1.2.1.zip(r-4.4)NFCP_1.2.1.zip(r-4.3)
NFCP_1.2.1.tgz(r-4.4-any)NFCP_1.2.1.tgz(r-4.3-any)
NFCP_1.2.1.tar.gz(r-4.5-noble)NFCP_1.2.1.tar.gz(r-4.4-noble)
NFCP_1.2.1.tgz(r-4.4-emscripten)NFCP_1.2.1.tgz(r-4.3-emscripten)
NFCP.pdf |NFCP.html✨
NFCP/json (API)
NEWS
# Install 'NFCP' in R: |
install.packages('NFCP', repos = c('https://tomaspinall.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/tomaspinall/nfcp/issues
- SS_oil - Crude oil term structure futures data
Last updated 3 years agofrom:15f0ad0364. Checks:OK: 1 NOTE: 6. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 04 2024 |
R-4.5-win | NOTE | Nov 04 2024 |
R-4.5-linux | NOTE | Nov 04 2024 |
R-4.4-win | NOTE | Nov 04 2024 |
R-4.4-mac | NOTE | Nov 04 2024 |
R-4.3-win | NOTE | Nov 04 2024 |
R-4.3-mac | NOTE | Nov 04 2024 |
Exports:A_TAmerican_option_valuecov_funcEuropean_option_valuefutures_price_forecastfutures_price_simulateNFCP_domainsNFCP_Kalman_filterNFCP_MLENFCP_parametersspot_price_forecastspot_price_simulatestitch_contractsTSfit_volatility
Dependencies:clicurlFKF.SPgluelifecycleLSMRealOptionsMASSmathjaxrnumDerivrbibutilsRdpackrgenoudrlang
Readme and manuals
Help Manual
Help page | Topics |
---|---|
N-factor model American options on futures contracts valuation | American_option_value |
N-factor model European options on futures contracts valuation | European_option_value |
Forecast the futures prices of an N-factor model | futures_price_forecast |
Simulate futures prices of an N-factor model through Monte Carlo simulation | futures_price_simulate |
N-Factor MLE search boundaries | NFCP_domains |
Filter an N-factor commodity pricing model though the Kalman filter | NFCP_Kalman_filter |
N-factor model parameter estimation through the Kalman filter and maximum likelihood estimation | NFCP_MLE |
Specify the constant parameters of an N-factor model | NFCP_parameters |
Forecast spot prices of an N-factor model | spot_price_forecast |
Simulate spot prices of an N-factor model through Monte Carlo simulation | spot_price_simulate |
Crude oil term structure futures data (1990 - 1995) | SS_oil |
Stitch futures contracts | stitch_contracts |
Calculate the volatility term structure of futures returns | TSfit_volatility |